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-rw-r--r--python/Dawn/models.py656
-rw-r--r--python/Dawn/utils.py12
-rw-r--r--python/Dawn/views.py430
3 files changed, 719 insertions, 379 deletions
diff --git a/python/Dawn/models.py b/python/Dawn/models.py
index 39bac9cf..c094f531 100644
--- a/python/Dawn/models.py
+++ b/python/Dawn/models.py
@@ -7,8 +7,9 @@ from sqlalchemy_utils import EmailType, PhoneNumberType
from . import db
+
class Counterparties(db.Model):
- __tablename__ = 'counterparties'
+ __tablename__ = "counterparties"
code = db.Column(db.String(12), primary_key=True)
name = db.Column(db.String)
city = db.Column(db.String)
@@ -26,140 +27,294 @@ class Counterparties(db.Model):
valuation_contact4 = db.Column(db.String)
valuation_email4 = db.Column(EmailType)
notes = db.Column(db.String)
- instructions = db.Column(db.String, info={'form_field_class': FileField})
+ instructions = db.Column(db.String, info={"form_field_class": FileField})
+
class Accounts(db.Model):
- __tablename__ = 'accounts'
+ __tablename__ = "accounts"
code = db.Column(db.String(5), primary_key=True)
name = db.Column(db.String)
custodian = db.Column(db.String)
cash_account = db.Column(db.String)
- counterparty = db.Column(db.String(12), db.ForeignKey('counterparties.code'))
+ counterparty = db.Column(db.String(12), db.ForeignKey("counterparties.code"))
+
+
+FUND = ENUM("SERCGMAST", "BRINKER", name="fund")
-FUND = ENUM('SERCGMAST', 'BRINKER', name='fund')
+PORTFOLIO = ENUM(
+ "OPTIONS",
+ "IR",
+ "MORTGAGES",
+ "IG",
+ "HY",
+ "CURVE",
+ "TRANCHE",
+ "CLO",
+ "HEDGE_MAC",
+ "STRUCTURED",
+ name="portfolio",
+)
-PORTFOLIO = ENUM('OPTIONS', 'IR', 'MORTGAGES', 'IG', 'HY', 'CURVE', 'TRANCHE',
- 'CLO', 'HEDGE_MAC', 'STRUCTURED', name='portfolio')
+BOND_STRAT = ENUM(
+ "M_STR_MAV",
+ "M_STR_MEZZ",
+ "CSO_TRANCH",
+ "M_CLO_BB20",
+ "M_CLO_AAA",
+ "M_CLO_BBB",
+ "M_MTG_IO",
+ "M_MTG_THRU",
+ "M_MTG_GOOD",
+ "M_MTG_B4PR",
+ "M_MTG_RW",
+ "M_MTG_FP",
+ "M_MTG_LMG",
+ "M_MTG_SD",
+ "M_MTG_PR",
+ "CRT_SD",
+ "CRT_LD",
+ "CRT_LD_JNR",
+ name="bond_strat",
+)
-BOND_STRAT = ENUM('M_STR_MAV', 'M_STR_MEZZ', 'CSO_TRANCH',
- 'M_CLO_BB20', 'M_CLO_AAA', 'M_CLO_BBB', 'M_MTG_IO', 'M_MTG_THRU',
- 'M_MTG_GOOD', 'M_MTG_B4PR', 'M_MTG_RW', 'M_MTG_FP', 'M_MTG_LMG',
- 'M_MTG_SD', 'M_MTG_PR', 'CRT_SD', 'CRT_LD', 'CRT_LD_JNR',
- name='bond_strat')
+CDS_STRAT = ENUM(
+ "HEDGE_CSO",
+ "HEDGE_CLO",
+ "HEDGE_MAC",
+ "HEDGE_MBS",
+ "SER_IGSNR",
+ "SER_IGMEZ",
+ "SER_IGEQY",
+ "SER_IGINX",
+ "SER_HYSNR",
+ "SER_HYMEZ",
+ "SER_HYEQY",
+ "SER_HYINX",
+ "SER_IGCURVE",
+ "MBSCDS",
+ "IGOPTDEL",
+ "HYOPTDEL",
+ "SER_ITRXCURVE",
+ "HYEQY",
+ "HYMEZ",
+ "HYSNR",
+ "HYINX",
+ "IGEQY",
+ "IGMEZ",
+ "IGSNR",
+ "IGINX",
+ "BSPK",
+ name="cds_strat",
+)
-CDS_STRAT = ENUM('HEDGE_CSO', 'HEDGE_CLO', 'HEDGE_MAC', 'HEDGE_MBS',
- 'SER_IGSNR', 'SER_IGMEZ', 'SER_IGEQY', 'SER_IGINX', 'SER_HYSNR',
- 'SER_HYMEZ', 'SER_HYEQY', 'SER_HYINX', 'SER_IGCURVE', 'MBSCDS',
- 'IGOPTDEL', 'HYOPTDEL', 'SER_ITRXCURVE',
- 'HYEQY', 'HYMEZ', 'HYSNR', 'HYINX', 'IGEQY', 'IGMEZ',
- 'IGSNR', 'IGINX', 'BSPK', name='cds_strat')
+SWAPTION_STRAT = ENUM(
+ "IGPAYER", "IGREC", "HYPAYER", "HYREC", "STEEP", name="swaption_strat"
+)
-SWAPTION_STRAT = ENUM('IGPAYER', 'IGREC', 'HYPAYER', 'HYREC', 'STEEP',
- name='swaption_strat')
+FUTURE_STRAT = ENUM(
+ "M_STR_MAV",
+ "M_MTG_IO",
+ "M_STR_MEZZ",
+ "M_MTG_RW",
+ "SER_ITRXCURVE",
+ "M_CSH_CASH",
+ "DELTAONE",
+ name="future_strat",
+)
-FUTURE_STRAT = ENUM('M_STR_MAV', 'M_MTG_IO', 'M_STR_MEZZ', 'M_MTG_RW', 'SER_ITRXCURVE',
- 'M_CSH_CASH', 'DELTAONE', name='future_strat')
+CASH_STRAT = ENUM(
+ "M_CSH_CASH",
+ "MBSCDSCSH",
+ "SER_IGCVECSH",
+ "SER_ITRXCVCSH",
+ "CSOCDSCSH",
+ "IGCDSCSH",
+ "HYCDSCSH",
+ "CLOCDSCSH",
+ "IGTCDSCSH",
+ "MACCDSCSH",
+ "M_STR_MEZZ",
+ "IRDEVCSH",
+ "TCSH",
+ "COCSH",
+ name="cash_strat",
+)
-CASH_STRAT = ENUM('M_CSH_CASH', 'MBSCDSCSH', 'SER_IGCVECSH', 'SER_ITRXCVCSH', 'CSOCDSCSH',
- 'IGCDSCSH', 'HYCDSCSH', 'CLOCDSCSH', 'IGTCDSCSH', 'MACCDSCSH', 'M_STR_MEZZ',
- 'IRDEVCSH', 'TCSH', 'COCSH',
- name='cash_strat')
+SPOT_STRAT = ENUM(
+ "M_STR_MAV", "M_STR_MEZZ", "SER_ITRXCURVE", "M_CSH_CASH", name="spot_strat"
+)
-SPOT_STRAT = ENUM('M_STR_MAV', 'M_STR_MEZZ', 'SER_ITRXCURVE', 'M_CSH_CASH',
- name='spot_strat')
+OPTION_TYPE = ENUM("PAYER", "RECEIVER", name="option_type")
-OPTION_TYPE = ENUM('PAYER', 'RECEIVER',
- name='option_type')
+SWAPTION_TYPE = ENUM("CD_INDEX_OPTION", "SWAPTION", name="swaption_type")
+SETTLEMENT_TYPE = ENUM("Delivery", "Cash", name="settlement_type")
-SWAPTION_TYPE = ENUM('CD_INDEX_OPTION', 'SWAPTION', name='swaption_type')
-SETTLEMENT_TYPE = ENUM('Delivery', 'Cash', name='settlement_type')
+REPO_TYPE = ENUM("REPO", "REVERSE REPO", name="repo_type")
+FUTURE_TYPE = ENUM(
+ "FUTURE", "CFD", "SYNTHETIC-FUTURE", "LME-FORWARD", name="future_type"
+)
-REPO_TYPE = ENUM('REPO', 'REVERSE REPO', name='repo_type')
-FUTURE_TYPE = ENUM('FUTURE', 'CFD', 'SYNTHETIC-FUTURE', 'LME-FORWARD', name='future_type')
+CALL_NOTICE = ENUM(
+ "24H",
+ "48H",
+ "3D",
+ "4D",
+ "5D",
+ "6D",
+ "1W",
+ "8D",
+ "9D",
+ "10D",
+ "2W",
+ "1M",
+ "2M",
+ name="call_notice",
+)
-CALL_NOTICE = ENUM('24H', '48H', '3D', '4D', '5D', '6D',
- '1W', '8D', '9D', '10D', '2W', '1M', '2M', name='call_notice')
+ASSET_CLASS = ENUM(
+ "CSO",
+ "Subprime",
+ "CLO",
+ "Tranches",
+ "Futures",
+ "Cash",
+ "FX",
+ "Cleared",
+ name="asset_class",
+)
+ACTION = ENUM("NEW", "UPDATE", "CANCEL", name="action")
-ASSET_CLASS = ENUM('CSO', 'Subprime', 'CLO', 'Tranches', 'Futures', 'Cash', 'FX', 'Cleared',
- name='asset_class')
-ACTION = ENUM('NEW', 'UPDATE', 'CANCEL', name='action')
+CCY = ENUM("USD", "CAD", "EUR", "YEN", name="currency")
-CCY = ENUM('USD', 'CAD', 'EUR', 'YEN', name='currency')
+BBG_TYPE = ENUM("Mtge", "Corp", name="bbg_type")
-BBG_TYPE = ENUM('Mtge', 'Corp', name='bbg_type')
+SWAP_TYPE = ENUM(
+ "CD_INDEX",
+ "CD_INDEX_TRANCHE",
+ "CD_BASKET_TRANCHE",
+ "ABS_CDS",
+ "BESPOKE",
+ name="swap_type",
+)
-SWAP_TYPE = ENUM('CD_INDEX', 'CD_INDEX_TRANCHE', 'CD_BASKET_TRANCHE',
- 'ABS_CDS', 'BESPOKE', name='swap_type')
+ISDA = ENUM("ISDA2014", "ISDA2003Cred", name="isda")
-ISDA = ENUM('ISDA2014', 'ISDA2003Cred', name='isda')
+DAY_COUNT = ENUM("ACT/360", "ACT/ACT", "30/360", "ACT/365", name="day_count")
+FREQ = ENUM(
+ "Yearly",
+ "Half-Yearly",
+ "Quarterly",
+ "Bi-Monthly",
+ "Monthly",
+ "Weekly",
+ "Daily",
+ "Straight",
+ name="frequency",
+)
+BUS_DAY_CONVENTION = ENUM(
+ "Modified Following",
+ "Following",
+ "Modified Preceding",
+ "Preceding",
+ "Second-Day-After",
+ "End-of-Month",
+ name="bus_day_convention",
+)
+PROTECTION = ENUM("Buyer", "Seller", name="protection")
-DAY_COUNT = ENUM('ACT/360', 'ACT/ACT', '30/360', 'ACT/365', name='day_count')
-FREQ = ENUM('Yearly', 'Half-Yearly', 'Quarterly', 'Bi-Monthly', 'Monthly',
- 'Weekly', 'Daily', 'Straight', name='frequency')
-BUS_DAY_CONVENTION = ENUM('Modified Following', 'Following', 'Modified Preceding', 'Preceding',
- 'Second-Day-After', 'End-of-Month', name='bus_day_convention')
-PROTECTION = ENUM('Buyer', 'Seller', name='protection')
+CAPFLOOR_TYPE = ENUM(
+ "CAPFLOOR", "CMS_OPTION", "STRUCTURED", "FORWARD_PREMIUM", name="capfloor_type"
+)
+CAPFLOOR = ENUM("C", "F", name="cap_or_floor")
+PAYMENT_MODE = ENUM("F", "S", name="payment_mode")
+PRICING_TYPE = ENUM("PlainVanilla", "EquityIndex", name="pricing_type")
+BEGIN_OR_END = ENUM("B", "E", name="begin_or_end")
-CAPFLOOR_TYPE = ENUM('CAPFLOOR', 'CMS_OPTION', 'STRUCTURED', 'FORWARD_PREMIUM', name='capfloor_type')
-CAPFLOOR = ENUM('C', 'F', name='cap_or_floor')
-PAYMENT_MODE = ENUM('F', 'S', name='payment_mode')
-PRICING_TYPE = ENUM('PlainVanilla', 'EquityIndex', name='pricing_type')
-BEGIN_OR_END = ENUM('B', 'E', name='begin_or_end')
class BondDeal(db.Model):
- __tablename__ = 'bonds'
- id = db.Column('id', db.Integer, primary_key=True)
- fund = db.Column(FUND, nullable=False, default='SERCGMAST')
+ __tablename__ = "bonds"
+ id = db.Column("id", db.Integer, primary_key=True)
+ fund = db.Column(FUND, nullable=False, default="SERCGMAST")
dealid = db.Column(db.String(28))
- lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ lastupdate = db.Column(
+ db.DateTime, server_default=db.func.now(), onupdate=db.func.now()
+ )
action = db.Column(ACTION, nullable=False)
folder = db.Column(BOND_STRAT, nullable=False)
- custodian = db.Column(db.String(12), default='BAC', nullable=False)
- cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False)
- cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [(None, '')],
- 'label': 'counterparty'}, nullable=False)
- trade_date = db.Column(db.Date, nullable = False)
- settle_date = db.Column(db.Date, nullable = False)
- cusip = db.Column(db.String(9), info={'validators': Length(9, 9),
- 'filters': [lambda x: x or None,],
- 'trim': True})
- isin = db.Column(db.String(12), info={'validators': Length(12, 12),
- 'filters': [lambda x: x or None,],
- 'trim': True})
- identifier = db.Column(db.String(12), info={'filters': [lambda x: x or None,],
- 'trim': True})
- description = db.Column(db.String(32), nullable = False, info={'trim': True})
- buysell = db.Column(db.Boolean, nullable=False, info={'choices': [(0, 'sell'), (1, 'buy')],
- 'coerce': lambda x: bool(int(x)) \
- if x is not None else x})
+ custodian = db.Column(db.String(12), default="BAC", nullable=False)
+ cashaccount = db.Column(db.String(10), default="V0NSCLMAMB", nullable=False)
+ cp_code = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [(None, "")], "label": "counterparty"},
+ nullable=False,
+ )
+ trade_date = db.Column(db.Date, nullable=False)
+ settle_date = db.Column(db.Date, nullable=False)
+ cusip = db.Column(
+ db.String(9),
+ info={
+ "validators": Length(9, 9),
+ "filters": [lambda x: x or None],
+ "trim": True,
+ },
+ )
+ isin = db.Column(
+ db.String(12),
+ info={
+ "validators": Length(12, 12),
+ "filters": [lambda x: x or None],
+ "trim": True,
+ },
+ )
+ identifier = db.Column(
+ db.String(12), info={"filters": [lambda x: x or None], "trim": True}
+ )
+ description = db.Column(db.String(32), nullable=False, info={"trim": True})
+ buysell = db.Column(
+ db.Boolean,
+ nullable=False,
+ info={
+ "choices": [(0, "sell"), (1, "buy")],
+ "coerce": lambda x: bool(int(x)) if x is not None else x,
+ },
+ )
faceamount = db.Column(db.Float, nullable=False)
price = db.Column(db.Float, nullable=False)
- accrued = db.Column(db.Float, nullable = False)
+ accrued = db.Column(db.Float, nullable=False)
asset_class = db.Column(ASSET_CLASS)
- ticket = db.Column(db.String, info={'form_field_class': FileField})
+ ticket = db.Column(db.String, info={"form_field_class": FileField})
principal_payment = db.Column(db.Float)
accrued_payment = db.Column(db.Float)
counterparty = db.relationship(Counterparties)
- __table_args__= (db.CheckConstraint('cusip is not Null or isin is not Null'),)
+ __table_args__ = (db.CheckConstraint("cusip is not Null or isin is not Null"),)
+
class CDSDeal(db.Model):
- __tablename__ = 'cds'
- id = db.Column('id', db.Integer, primary_key=True)
- fund = db.Column(FUND, nullable=False, default='SERCGMAST')
+ __tablename__ = "cds"
+ id = db.Column("id", db.Integer, primary_key=True)
+ fund = db.Column(FUND, nullable=False, default="SERCGMAST")
dealid = db.Column(db.String(28))
- lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ lastupdate = db.Column(
+ db.DateTime, server_default=db.func.now(), onupdate=db.func.now()
+ )
action = db.Column(ACTION, nullable=False)
portfolio = db.Column(PORTFOLIO, nullable=False)
folder = db.Column(CDS_STRAT, nullable=False)
- account_code = db.Column(db.String(5), db.ForeignKey('accounts.code'),
- info={'choices': [(None,'')],
- 'label': 'fcm_account'}, nullable=False)
- custodian = db.Column(db.String(12), default='NONE', nullable=False)
- cashaccount = db.Column(db.String(10), default='V0NSCLMFCM', nullable=False)
- cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [(None, '')],
- 'label': 'counterparty'}, nullable=False)
+ account_code = db.Column(
+ db.String(5),
+ db.ForeignKey("accounts.code"),
+ info={"choices": [(None, "")], "label": "fcm_account"},
+ nullable=False,
+ )
+ custodian = db.Column(db.String(12), default="NONE", nullable=False)
+ cashaccount = db.Column(db.String(10), default="V0NSCLMFCM", nullable=False)
+ cp_code = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [(None, "")], "label": "counterparty"},
+ nullable=False,
+ )
trade_date = db.Column(db.Date, nullable=False)
effective_date = db.Column(db.Date, nullable=False)
maturity = db.Column(db.Date, nullable=False)
@@ -176,55 +331,80 @@ class CDSDeal(db.Model):
upfront_settle_date = db.Column(db.Date, nullable=False)
initial_margin_percentage = db.Column(db.Float)
swap_type = db.Column(SWAP_TYPE, nullable=False)
- orig_attach = db.Column(db.SmallInteger, info={'min': 0, 'max': 100})
- orig_detach = db.Column(db.SmallInteger, info={'min': 0, 'max': 100})
- attach = db.Column(db.Float, info={'min': 0., 'max': 100.})
- detach = db.Column(db.Float, info={'min': 0., 'max': 100.})
- corr_attach = db.Column(db.Float, info={'min': 0., 'max': 1.})
- corr_detach = db.Column(db.Float, info={'min': 0., 'max':1.})
+ orig_attach = db.Column(db.SmallInteger, info={"min": 0, "max": 100})
+ orig_detach = db.Column(db.SmallInteger, info={"min": 0, "max": 100})
+ attach = db.Column(db.Float, info={"min": 0.0, "max": 100.0})
+ detach = db.Column(db.Float, info={"min": 0.0, "max": 100.0})
+ corr_attach = db.Column(db.Float, info={"min": 0.0, "max": 1.0})
+ corr_detach = db.Column(db.Float, info={"min": 0.0, "max": 1.0})
index_ref = db.Column(db.Float)
- clearing_facility = db.Column(db.String(12), default=None,
- info={'filters': [lambda x: x or None,]})
+ clearing_facility = db.Column(
+ db.String(12), default=None, info={"filters": [lambda x: x or None]}
+ )
isda_definition = db.Column(ISDA)
termination_date = db.Column(db.Date)
termination_amount = db.Column(db.Float)
- termination_cp = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [(None, '')],
- 'label': 'termination_counterparty'})
+ termination_cp = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [(None, "")], "label": "termination_counterparty"},
+ )
counterparty = db.relationship(Counterparties, foreign_keys=[cp_code])
- termination_counterparty = db.relationship(Counterparties, foreign_keys=[termination_cp])
+ termination_counterparty = db.relationship(
+ Counterparties, foreign_keys=[termination_cp]
+ )
fcm_account = db.relationship(Accounts, foreign_keys=[account_code])
- __table_args__ = (db.CheckConstraint(
- "(swap_type IN ('CD_INDEX_TRANCHE', 'BESPOKE') AND "
- "(orig_attach IS NOT NULL AND orig_detach IS NOT NULL AND clearing_facility IS NULL))"
- "OR (swap_type='CD_INDEX' AND "
- "orig_attach IS NULL AND orig_detach IS NULL AND clearing_facility='ICE-CREDIT')"
- "OR (swap_type='ABS_CDS' AND "
- "orig_attach IS NULL AND orig_detach IS NULL AND clearing_faciliy IS NULL)"),)
+ __table_args__ = (
+ db.CheckConstraint(
+ "(swap_type IN ('CD_INDEX_TRANCHE', 'BESPOKE') AND "
+ "(orig_attach IS NOT NULL AND orig_detach IS NOT NULL AND clearing_facility IS NULL))"
+ "OR (swap_type='CD_INDEX' AND "
+ "orig_attach IS NULL AND orig_detach IS NULL AND clearing_facility='ICE-CREDIT')"
+ "OR (swap_type='ABS_CDS' AND "
+ "orig_attach IS NULL AND orig_detach IS NULL AND clearing_faciliy IS NULL)"
+ ),
+ )
+
class RepoDeal(db.Model):
- __tablename__ = 'repo'
- id = db.Column('id', db.Integer, primary_key=True)
- fund = db.Column(FUND, nullable=False, default='SERCGMAST')
- lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ __tablename__ = "repo"
+ id = db.Column("id", db.Integer, primary_key=True)
+ fund = db.Column(FUND, nullable=False, default="SERCGMAST")
+ lastupdate = db.Column(
+ db.DateTime, server_default=db.func.now(), onupdate=db.func.now()
+ )
action = db.Column(ACTION, nullable=False)
folder = db.Column(CDS_STRAT, nullable=False)
- custodian = db.Column(db.String(12), default='SGFCM', nullable=False)
- cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False)
- cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [(None, '')],
- 'label': 'counterparty'}, nullable=False)
+ custodian = db.Column(db.String(12), default="SGFCM", nullable=False)
+ cashaccount = db.Column(db.String(10), default="V0NSCLMAMB", nullable=False)
+ cp_code = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [(None, "")], "label": "counterparty"},
+ nullable=False,
+ )
trade_date = db.Column(db.Date, nullable=False)
settle_date = db.Column(db.Date, nullable=False)
- cusip = db.Column(db.String(9), info={'validators': Length(9,9),
- 'filters': [lambda x: x or None,],
- 'trim': True})
- isin = db.Column(db.String(12), info={'validators': Length(12, 12),
- 'filters': [lambda x: x or None,],
- 'trim': True})
- identifier = db.Column(db.String(12), info={'filters': [lambda x: x or None,],
- 'trim': True})
- description = db.Column(db.String(32), nullable=False, info={'trim': True})
+ cusip = db.Column(
+ db.String(9),
+ info={
+ "validators": Length(9, 9),
+ "filters": [lambda x: x or None],
+ "trim": True,
+ },
+ )
+ isin = db.Column(
+ db.String(12),
+ info={
+ "validators": Length(12, 12),
+ "filters": [lambda x: x or None],
+ "trim": True,
+ },
+ )
+ identifier = db.Column(
+ db.String(12), info={"filters": [lambda x: x or None], "trim": True}
+ )
+ description = db.Column(db.String(32), nullable=False, info={"trim": True})
transation_indicator = db.Column(REPO_TYPE)
faceamount = db.Column(db.Float, nullable=False)
price = db.Column(db.Float, nullable=False)
@@ -235,32 +415,46 @@ class RepoDeal(db.Model):
repo_rate = db.Column(db.Float, nullable=False)
call_notice = db.Column(CALL_NOTICE)
daycount = db.Column(DAY_COUNT)
- ticket = db.Column(db.String, info={'form_field_class': FileField})
- __table__args = (db.CheckConstraint("haircut is not NULL and weighted_amount is NULL) or " \
- "haircut is NULL and weighted_amount is NOT NULL)"),
- db.CheckConstraint("cusip is NOT NULL or isin is NOT NULL"))
+ ticket = db.Column(db.String, info={"form_field_class": FileField})
+ __table__args = (
+ db.CheckConstraint(
+ "haircut is not NULL and weighted_amount is NULL) or "
+ "haircut is NULL and weighted_amount is NOT NULL)"
+ ),
+ db.CheckConstraint("cusip is NOT NULL or isin is NOT NULL"),
+ )
class SwaptionDeal(db.Model):
- __tablename__ = 'swaptions'
- id = db.Column('id', db.Integer, primary_key=True)
- fund = db.Column(FUND, nullable=False, default='SERCGMAST')
+ __tablename__ = "swaptions"
+ id = db.Column("id", db.Integer, primary_key=True)
+ fund = db.Column(FUND, nullable=False, default="SERCGMAST")
dealid = db.Column(db.String(28), nullable=False)
- lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ lastupdate = db.Column(
+ db.DateTime, server_default=db.func.now(), onupdate=db.func.now()
+ )
action = db.Column(ACTION, nullable=False)
portfolio = db.Column(PORTFOLIO, nullable=False)
folder = db.Column(SWAPTION_STRAT, nullable=False)
- custodian = db.Column(db.String(12), default='NONE', nullable=False)
- cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False)
- cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [(None, '')],
- 'label': 'counterparty'}, nullable=False)
+ custodian = db.Column(db.String(12), default="NONE", nullable=False)
+ cashaccount = db.Column(db.String(10), default="V0NSCLMAMB", nullable=False)
+ cp_code = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [(None, "")], "label": "counterparty"},
+ nullable=False,
+ )
swap_type = db.Column(SWAPTION_TYPE, nullable=False)
trade_date = db.Column(db.Date, nullable=False)
settle_date = db.Column(db.Date, nullable=False)
- buysell = db.Column(db.Boolean, nullable=False, info={'choices': [(0, 'sell'), (1, 'buy')],
- 'coerce': lambda x: bool(int(x))
- if x is not None else x})
+ buysell = db.Column(
+ db.Boolean,
+ nullable=False,
+ info={
+ "choices": [(0, "sell"), (1, "buy")],
+ "coerce": lambda x: bool(int(x)) if x is not None else x,
+ },
+ )
notional = db.Column(db.Float, nullable=False)
option_type = db.Column(OPTION_TYPE, nullable=False)
strike = db.Column(db.Float, nullable=False)
@@ -276,31 +470,45 @@ class SwaptionDeal(db.Model):
settlement_type = db.Column(SETTLEMENT_TYPE, nullable=False)
termination_date = db.Column(db.Date)
termination_amount = db.Column(db.Float)
- termination_cp = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [(None, '')],
- 'label': 'termination_counterparty'})
+ termination_cp = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [(None, "")], "label": "termination_counterparty"},
+ )
counterparty = db.relationship(Counterparties, foreign_keys=[cp_code])
- termination_counterparty = db.relationship(Counterparties, foreign_keys=[termination_cp])
+ termination_counterparty = db.relationship(
+ Counterparties, foreign_keys=[termination_cp]
+ )
class FutureDeal(db.Model):
- __tablename__ = 'futures'
- id = db.Column('id', db.Integer, primary_key=True)
+ __tablename__ = "futures"
+ id = db.Column("id", db.Integer, primary_key=True)
fund = db.Column(FUND, nullable=False)
dealid = db.Column(db.String(28), nullable=False)
- lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ lastupdate = db.Column(
+ db.DateTime, server_default=db.func.now(), onupdate=db.func.now()
+ )
action = db.Column(ACTION, nullable=False)
folder = db.Column(FUTURE_STRAT, nullable=False)
- custodian = db.Column(db.String(12), default='INTBR', nullable=False)
- cashaccount = db.Column(db.String(10), default='IANSCLMAFU', nullable=False)
- cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [('IBKRNY', 'Interactive Brokers')],
- 'label': 'counterparty'}, nullable=False)
+ custodian = db.Column(db.String(12), default="INTBR", nullable=False)
+ cashaccount = db.Column(db.String(10), default="IANSCLMAFU", nullable=False)
+ cp_code = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [("IBKRNY", "Interactive Brokers")], "label": "counterparty"},
+ nullable=False,
+ )
trade_date = db.Column(db.Date, nullable=False)
settle_date = db.Column(db.Date, nullable=False)
- buysell = db.Column(db.Boolean, nullable=False, info={'choices':[(0, 'sell'), (1, 'buy')],
- 'coerce': lambda x: bool(int(x)) \
- if x is not None else x})
+ buysell = db.Column(
+ db.Boolean,
+ nullable=False,
+ info={
+ "choices": [(0, "sell"), (1, "buy")],
+ "coerce": lambda x: bool(int(x)) if x is not None else x,
+ },
+ )
bbg_ticker = db.Column(db.String(32), nullable=False)
quantity = db.Column(db.Float, nullable=False)
price = db.Column(db.Float, nullable=False)
@@ -309,17 +517,20 @@ class FutureDeal(db.Model):
security_desc = db.Column(db.String(32), nullable=False)
maturity = db.Column(db.Date, nullable=False)
currency = db.Column(CCY, nullable=False)
- exchange = db.Column(db.String(3), default='CME', nullable=False)
+ exchange = db.Column(db.String(3), default="CME", nullable=False)
counterparty = db.relationship(Counterparties)
+
class CashFlowDeal(db.Model):
- __tablename__ = 'wires'
- id = db.Column('id', db.Integer, primary_key=True)
+ __tablename__ = "wires"
+ id = db.Column("id", db.Integer, primary_key=True)
dealid = db.Column(db.String(28))
- lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ lastupdate = db.Column(
+ db.DateTime, server_default=db.func.now(), onupdate=db.func.now()
+ )
action = db.Column(ACTION)
folder = db.Column(CASH_STRAT, nullable=False)
- code = db.Column(db.String(5), db.ForeignKey('accounts.code'), nullable=False)
+ code = db.Column(db.String(5), db.ForeignKey("accounts.code"), nullable=False)
amount = db.Column(db.Float, nullable=False)
currency = db.Column(CCY, nullable=False)
trade_date = db.Column(db.Date, nullable=False)
@@ -328,17 +539,22 @@ class CashFlowDeal(db.Model):
class SpotDeal(db.Model):
__tablename__ = "spots"
- id = db.Column('id', db.Integer, primary_key=True)
- fund = db.Column(FUND, nullable=False, default='SERCGMAST')
+ id = db.Column("id", db.Integer, primary_key=True)
+ fund = db.Column(FUND, nullable=False, default="SERCGMAST")
dealid = db.Column(db.String(28), nullable=False)
- lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ lastupdate = db.Column(
+ db.DateTime, server_default=db.func.now(), onupdate=db.func.now()
+ )
action = db.Column(ACTION, nullable=False)
folder = db.Column(SPOT_STRAT, nullable=False)
- custodian = db.Column(db.String(12), default='INTBR', nullable=False)
- cashaccount = db.Column(db.String(10), default='IANSCLMAFU', nullable=False)
- cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [('IBKRNY', 'Interactive Brokers')],
- 'label': 'counterparty'}, nullable=False)
+ custodian = db.Column(db.String(12), default="INTBR", nullable=False)
+ cashaccount = db.Column(db.String(10), default="IANSCLMAFU", nullable=False)
+ cp_code = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [("IBKRNY", "Interactive Brokers")], "label": "counterparty"},
+ nullable=False,
+ )
trade_date = db.Column(db.Date, nullable=False)
settle_date = db.Column(db.Date, nullable=False)
spot_rate = db.Column(db.Float, nullable=False)
@@ -350,62 +566,86 @@ class SpotDeal(db.Model):
commission = db.Column(db.Float)
counterparty = db.relationship(Counterparties)
+
class CapFloorDeal(db.Model):
- __tablename__ = 'capfloors'
- id = db.Column('id', db.Integer, primary_key=True)
- fund = db.Column(FUND, nullable=False, default='SERCGMAST')
+ __tablename__ = "capfloors"
+ id = db.Column("id", db.Integer, primary_key=True)
+ fund = db.Column(FUND, nullable=False, default="SERCGMAST")
dealid = db.Column(db.String(28), nullable=False)
- lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ lastupdate = db.Column(
+ db.DateTime, server_default=db.func.now(), onupdate=db.func.now()
+ )
action = db.Column(ACTION, nullable=False)
folder = db.Column(SWAPTION_STRAT, nullable=False)
- custodian = db.Column(db.String(12), default='NONE', nullable=False)
- cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False)
- cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [(None, '')],
- 'label': 'counterparty'}, nullable=False)
+ custodian = db.Column(db.String(12), default="NONE", nullable=False)
+ cashaccount = db.Column(db.String(10), default="V0NSCLMAMB", nullable=False)
+ cp_code = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [(None, "")], "label": "counterparty"},
+ nullable=False,
+ )
comments = db.Column(db.String(100))
- floating_rate_index = db.Column(db.String(12), nullable=False,
- info={'label': 'Floating Rate Index'})
+ floating_rate_index = db.Column(
+ db.String(12), nullable=False, info={"label": "Floating Rate Index"}
+ )
floating_rate_index_desc = db.Column(db.String(32))
- buysell = db.Column(db.Boolean, nullable=False, info={'choices':[(0, 'sell'), (1, 'buy')],
- 'coerce': lambda x: bool(int(x)) \
- if x is not None else x})
- cap_or_floor = db.Column(CAPFLOOR, nullable=False,
- info={'choices': [('C', 'Cap'), ('F', 'Floor')],
- 'label': 'Cap or Floor?'})
+ buysell = db.Column(
+ db.Boolean,
+ nullable=False,
+ info={
+ "choices": [(0, "sell"), (1, "buy")],
+ "coerce": lambda x: bool(int(x)) if x is not None else x,
+ },
+ )
+ cap_or_floor = db.Column(
+ CAPFLOOR,
+ nullable=False,
+ info={"choices": [("C", "Cap"), ("F", "Floor")], "label": "Cap or Floor?"},
+ )
strike = db.Column(db.Float, nullable=False)
value_date = db.Column(db.Date, nullable=False)
expiration_date = db.Column(db.Date, nullable=False)
premium_percent = db.Column(db.Float, nullable=False)
pricing_type = db.Column(PRICING_TYPE, nullable=False)
- payment_frequency = db.Column(FREQ, nullable=False, default='Straight')
- fixing_frequency = db.Column(FREQ, nullable=False, default='Straight')
- day_count_counvention = db.Column(DAY_COUNT, default='Act/Act')
- bdc_convention = db.Column(BUS_DAY_CONVENTION, default='Modified')
- payment_mode = db.Column(PAYMENT_MODE, nullable=False,
- info={'choices': [('F', 'Flat'), ('S', 'Schedule')]})
- payment_at_beginning_or_end = db.Column(BEGIN_OR_END, nullable=False,
- info={'label': 'In arrears?',
- 'choices': [('E', True),
- ('B', False)]})
+ payment_frequency = db.Column(FREQ, nullable=False, default="Straight")
+ fixing_frequency = db.Column(FREQ, nullable=False, default="Straight")
+ day_count_counvention = db.Column(DAY_COUNT, default="Act/Act")
+ bdc_convention = db.Column(BUS_DAY_CONVENTION, default="Modified")
+ payment_mode = db.Column(
+ PAYMENT_MODE,
+ nullable=False,
+ info={"choices": [("F", "Flat"), ("S", "Schedule")]},
+ )
+ payment_at_beginning_or_end = db.Column(
+ BEGIN_OR_END,
+ nullable=False,
+ info={"label": "In arrears?", "choices": [("E", True), ("B", False)]},
+ )
initial_margin_percentage = db.Column(db.Float)
initial_margin_currency = db.Column(CCY)
- amount = db.Column(db.Float, nullable=False, info={'label': 'notional'})
+ amount = db.Column(db.Float, nullable=False, info={"label": "notional"})
trade_date = db.Column(db.Date, nullable=False)
swap_type = db.Column(CAPFLOOR_TYPE, nullable=False)
reset_lag = db.Column(db.Integer, default=2)
- trade_confirm = db.Column(db.String, info={'form_field_class': FileField})
+ trade_confirm = db.Column(db.String, info={"form_field_class": FileField})
termination_date = db.Column(db.Date)
termination_amount = db.Column(db.Float)
- termination_cp = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
- info={'choices': [(None, '')],
- 'label': 'termination counterparty'})
+ termination_cp = db.Column(
+ db.String(12),
+ db.ForeignKey("counterparties.code"),
+ info={"choices": [(None, "")], "label": "termination counterparty"},
+ )
cpty_id = db.Column(db.Text)
counterparty = db.relationship(Counterparties, foreign_keys=[cp_code])
- termination_counterparty = db.relationship(Counterparties,
- foreign_keys=[termination_cp])
+ termination_counterparty = db.relationship(
+ Counterparties, foreign_keys=[termination_cp]
+ )
+
BaseModelForm = model_form_factory(FlaskForm)
+
+
class ModelForm(BaseModelForm):
@classmethod
def get_session(self):
diff --git a/python/Dawn/utils.py b/python/Dawn/utils.py
index 731d6dbb..3dd0d1c5 100644
--- a/python/Dawn/utils.py
+++ b/python/Dawn/utils.py
@@ -12,9 +12,13 @@ def bump_rev(filename):
def simple_serialize(obj, **kwargs):
d = {c.name: getattr(obj, c.name) for c in obj.__table__.columns}
# add data from foreign relationship
- if obj.__table__.name == 'wires':
- d.update({'Counterparty': obj.account.counterparty,
- 'cashaccount': obj.account.cash_account,
- 'custodian': obj.account.custodian})
+ if obj.__table__.name == "wires":
+ d.update(
+ {
+ "Counterparty": obj.account.counterparty,
+ "cashaccount": obj.account.cash_account,
+ "custodian": obj.account.custodian,
+ }
+ )
d.update(kwargs)
return dumps(d)
diff --git a/python/Dawn/views.py b/python/Dawn/views.py
index 2960d78c..4dfb3c47 100644
--- a/python/Dawn/views.py
+++ b/python/Dawn/views.py
@@ -5,19 +5,38 @@ import psycopg2
import redis
import socket
-from flask import (abort, request, render_template, redirect,
- url_for, send_from_directory, send_file, g, jsonify)
+from flask import (
+ abort,
+ request,
+ render_template,
+ redirect,
+ url_for,
+ send_from_directory,
+ send_file,
+ g,
+ jsonify,
+)
-from .models import (ModelForm, CASH_STRAT, CCY,
- BondDeal, CDSDeal, SwaptionDeal, FutureDeal, CashFlowDeal,
- CapFloorDeal, SpotDeal, Counterparties, Accounts)
+from .models import (
+ ModelForm,
+ CASH_STRAT,
+ CCY,
+ BondDeal,
+ CDSDeal,
+ SwaptionDeal,
+ FutureDeal,
+ CashFlowDeal,
+ CapFloorDeal,
+ SpotDeal,
+ Counterparties,
+ Accounts,
+)
from sqlalchemy.exc import IntegrityError
from wtforms.fields import BooleanField
from pandas.tseries.offsets import CustomBusinessDay
-from pandas.tseries.holiday import (get_calendar, HolidayCalendarFactory,
- GoodFriday)
+from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday
from pyisda.date import previous_twentieth
from .utils import bump_rev, simple_serialize
@@ -26,56 +45,61 @@ from io import BytesIO
from . import app
from . import db
-fed_cal = get_calendar('USFederalHolidayCalendar')
-bond_cal = HolidayCalendarFactory('BondCalendar', fed_cal, GoodFriday)
+fed_cal = get_calendar("USFederalHolidayCalendar")
+bond_cal = HolidayCalendarFactory("BondCalendar", fed_cal, GoodFriday)
bus_day = CustomBusinessDay(calendar=bond_cal())
-def cp_choices(kind='bond'):
- if kind == 'bond':
- return (Counterparties.query.order_by('name').
- with_entities(Counterparties.code, Counterparties.name))
- elif kind in ['future', 'spot']:
+def cp_choices(kind="bond"):
+ if kind == "bond":
+ return Counterparties.query.order_by("name").with_entities(
+ Counterparties.code, Counterparties.name
+ )
+ elif kind in ["future", "spot"]:
return []
- elif kind in ['cds', 'swaption', 'capfloor']:
- return (Counterparties.query.
- order_by('name').
- filter(Counterparties.name.ilike('%CDS%')).
- with_entities(Counterparties.code, Counterparties.name))
+ elif kind in ["cds", "swaption", "capfloor"]:
+ return (
+ Counterparties.query.order_by("name")
+ .filter(Counterparties.name.ilike("%CDS%"))
+ .with_entities(Counterparties.code, Counterparties.name)
+ )
def account_codes():
- return Accounts.query.order_by('code').with_entities(Accounts.code, Accounts.name)
+ return Accounts.query.order_by("code").with_entities(Accounts.code, Accounts.name)
+
def fcm_accounts():
- return (Accounts.query.
- order_by('code').
- filter(Accounts.name.ilike('%FCM%')).
- with_entities(Accounts.code, Accounts.name))
+ return (
+ Accounts.query.order_by("code")
+ .filter(Accounts.name.ilike("%FCM%"))
+ .with_entities(Accounts.code, Accounts.name)
+ )
+
def get_queue():
- q = getattr(g, 'queue', None)
+ q = getattr(g, "queue", None)
if q is None:
hostname = socket.gethostname()
- if hostname == 'ziggy':
- q = g.queue = redis.Redis(unix_socket_path='/run/redis/redis.sock')
+ if hostname == "ziggy":
+ q = g.queue = redis.Redis(unix_socket_path="/run/redis/redis.sock")
else:
- q = g.queue = redis.Redis(host='ziggy')
+ q = g.queue = redis.Redis(host="ziggy")
return q
def get_db():
- db = getattr(g, '_database', None)
+ db = getattr(g, "_database", None)
if db is None:
- db = g._database = psycopg2.connect(database="serenitasdb",
- user="serenitas_user",
- host="debian")
+ db = g._database = psycopg2.connect(
+ database="serenitasdb", user="serenitas_user", host="debian"
+ )
return db
@app.teardown_appcontext
def close_connection(exception):
- db = getattr(g, '_database', None)
+ db = getattr(g, "_database", None)
if db is not None:
db.close()
@@ -92,8 +116,12 @@ class BondForm(ModelForm):
class Meta:
model = BondDeal
include_foreign_keys = True
- exclude = ['dealid', 'lastupdate', # we generate it with a trigger at the server level
- 'principal_payment', 'accrued_payment']
+ exclude = [
+ "dealid",
+ "lastupdate", # we generate it with a trigger at the server level
+ "principal_payment",
+ "accrued_payment",
+ ]
class CDSForm(ModelForm):
@@ -102,9 +130,17 @@ class CDSForm(ModelForm):
class Meta:
model = CDSDeal
include_foreign_keys = True
- exclude = ['dealid', 'lastupdate', 'termination_amount',
- 'termination_cp', 'termination_date', 'custodian',
- 'cashaccount', 'attach', 'detach']
+ exclude = [
+ "dealid",
+ "lastupdate",
+ "termination_amount",
+ "termination_cp",
+ "termination_date",
+ "custodian",
+ "cashaccount",
+ "attach",
+ "detach",
+ ]
class SwaptionForm(ModelForm):
@@ -113,8 +149,13 @@ class SwaptionForm(ModelForm):
class Meta:
model = SwaptionDeal
include_foreign_keys = True
- exclude = ['dealid', 'lastupdate', 'termination_amount',
- 'termination_cp', 'termination_date']
+ exclude = [
+ "dealid",
+ "lastupdate",
+ "termination_amount",
+ "termination_cp",
+ "termination_date",
+ ]
class FutureForm(ModelForm):
@@ -123,7 +164,8 @@ class FutureForm(ModelForm):
class Meta:
model = FutureDeal
include_foreign_keys = True
- exclude = ['dealid', 'lastupdate']
+ exclude = ["dealid", "lastupdate"]
+
class SpotForm(ModelForm):
upload_globeop = BooleanField(label="Upload to globeop?")
@@ -131,7 +173,7 @@ class SpotForm(ModelForm):
class Meta:
model = SpotDeal
include_foreign_keys = True
- exclude = ['dealid', 'lastupdate']
+ exclude = ["dealid", "lastupdate"]
class CapFloorForm(ModelForm):
@@ -140,44 +182,49 @@ class CapFloorForm(ModelForm):
class Meta:
model = CapFloorDeal
include_foreign_keys = True
- exclude = ['dealid', 'lastupdate', 'termination_amount',
- 'termination_cp', 'termination_date']
+ exclude = [
+ "dealid",
+ "lastupdate",
+ "termination_amount",
+ "termination_cp",
+ "termination_date",
+ ]
def get_deal(kind):
- if kind == 'cds':
+ if kind == "cds":
return CDSDeal
- elif kind == 'bond':
+ elif kind == "bond":
return BondDeal
- elif kind == 'swaption':
+ elif kind == "swaption":
return SwaptionDeal
- elif kind == 'future':
+ elif kind == "future":
return FutureDeal
- elif kind == 'wire':
+ elif kind == "wire":
return CashFlowDeal
- elif kind == 'capfloor':
+ elif kind == "capfloor":
return CapFloorDeal
- elif kind == 'spot':
+ elif kind == "spot":
return SpotDeal
else:
- raise RuntimeError(f'Unknown Deal type: {kind}')
+ raise RuntimeError(f"Unknown Deal type: {kind}")
def _get_form(kind):
- if kind == 'cds':
+ if kind == "cds":
return CDSForm
- elif kind == 'bond':
+ elif kind == "bond":
return BondForm
- elif kind == 'swaption':
+ elif kind == "swaption":
return SwaptionForm
- elif kind == 'future':
+ elif kind == "future":
return FutureForm
- elif kind == 'capfloor':
+ elif kind == "capfloor":
return CapFloorForm
- elif kind == 'spot':
+ elif kind == "spot":
return SpotForm
else:
- raise RuntimeError('Unknown Deal type')
+ raise RuntimeError("Unknown Deal type")
def get_form(trade, kind):
@@ -187,28 +234,35 @@ def get_form(trade, kind):
else:
today = pd.datetime.today()
tomorrow = today + pd.DateOffset(1)
- if kind == 'cds':
- form = Form(trade_date=today.date(),
- effective_date=previous_twentieth(today.date()),
- upfront_settle_date=today.date() + 1 * bus_day)
+ if kind == "cds":
+ form = Form(
+ trade_date=today.date(),
+ effective_date=previous_twentieth(today.date()),
+ upfront_settle_date=today.date() + 1 * bus_day,
+ )
form.account_code.choices = fcm_accounts()
- form.portfolio.choices = [c for c in form.portfolio.choices
- if c[0] not in ('IR', 'IG', 'HY')]
- form.folder.choices = [c for c in form.folder.choices
- if (not c[0].startswith("SER_") or c[0].endswith("CURVE"))]
+ form.portfolio.choices = [
+ c for c in form.portfolio.choices if c[0] not in ("IR", "IG", "HY")
+ ]
+ form.folder.choices = [
+ c
+ for c in form.folder.choices
+ if (not c[0].startswith("SER_") or c[0].endswith("CURVE"))
+ ]
elif kind == "swaption":
- form = Form(trade_date=today.date(),
- effective_date=tomorrow.date(),
- upfront_settle_date=today.date() + 3 * bus_day)
- form.portfolio.choices = [('OPTIONS', 'OPTIONS'), ('IR', 'IR')]
+ form = Form(
+ trade_date=today.date(),
+ effective_date=tomorrow.date(),
+ upfront_settle_date=today.date() + 3 * bus_day,
+ )
+ form.portfolio.choices = [("OPTIONS", "OPTIONS"), ("IR", "IR")]
else:
- form = Form(trade_date=today.date(),
- settle_date=today.date() + 2 * bus_day)
+ form = Form(trade_date=today.date(), settle_date=today.date() + 2 * bus_day)
# add extra empty fields
- empty_choice = (None, '')
- for attr in ['folder', 'buysell', 'asset_class', 'swaption_type']:
+ empty_choice = (None, "")
+ for attr in ["folder", "buysell", "asset_class", "swaption_type"]:
try:
dropdown = getattr(form, attr)
if dropdown.choices[0] != empty_choice:
@@ -229,20 +283,17 @@ def save_ticket(trade, old_ticket_name):
new_name = bump_rev(old_ticket_name)
else:
new_name = f"{trade.trade_date} {trade.id} {trade.description}.pdf"
- trade.ticket.save(os.path.join(app.config['TICKETS_FOLDER'],
- new_name))
+ trade.ticket.save(os.path.join(app.config["TICKETS_FOLDER"], new_name))
trade.ticket = new_name
else:
trade.ticket = old_ticket_name
def save_confirm(trade, old_confirm):
- d = {'C': 'Cap',
- 'F': 'Floor'}
+ d = {"C": "Cap", "F": "Floor"}
if trade.trade_confirm:
file_name = f"{trade.trade_date} {d[trade.cap_or_floor]}.pdf"
- trade.trade_confirm.save(os.path.join(app.config['CONFIRMS_FOLDER'],
- file_name))
+ trade.trade_confirm.save(os.path.join(app.config["CONFIRMS_FOLDER"], file_name))
trade.trade_confirm = file_name
else:
trade.trade_confirm = old_confirm
@@ -250,21 +301,39 @@ def save_confirm(trade, old_confirm):
def split_direction(g, direction):
if direction == "outgoing":
- return [{"folder": cf.folder, "amount": -cf.amount, "code": cf.code,
- "currency": cf.currency, "action": cf.action}
- for cf in g if cf.amount < 0]
+ return [
+ {
+ "folder": cf.folder,
+ "amount": -cf.amount,
+ "code": cf.code,
+ "currency": cf.currency,
+ "action": cf.action,
+ }
+ for cf in g
+ if cf.amount < 0
+ ]
elif direction == "incoming":
- return [{"folder": cf.folder, "amount": cf.amount, "code": cf.code,
- "currency": cf.currency, "action": cf.action}
- for cf in g if cf.amount > 0]
+ return [
+ {
+ "folder": cf.folder,
+ "amount": cf.amount,
+ "code": cf.code,
+ "currency": cf.currency,
+ "action": cf.action,
+ }
+ for cf in g
+ if cf.amount > 0
+ ]
else:
raise ValueError("direction can be one of 'outgoing' or 'incoming'")
def gen_cashflow_deals(form, session, wire_id=None):
to_date = lambda s: datetime.datetime.strptime(s, "%Y-%m-%d")
- d = {'action': form.get("action"),
- 'trade_date': form.get("trade_date", None, to_date)}
+ d = {
+ "action": form.get("action"),
+ "trade_date": form.get("trade_date", None, to_date),
+ }
for direction in ["incoming", "outgoing"]:
count = 1
@@ -272,13 +341,17 @@ def gen_cashflow_deals(form, session, wire_id=None):
if f"{direction}-code-{count}" not in form:
break
else:
- d .update({field: form.get(f"{direction}-{field}-{count}") for field
- in ["folder", "code", "amount", "currency"]})
+ d.update(
+ {
+ field: form.get(f"{direction}-{field}-{count}")
+ for field in ["folder", "code", "amount", "currency"]
+ }
+ )
count += 1
if direction == "outgoing":
- d['amount'] = - float(d['amount'])
+ d["amount"] = -float(d["amount"])
elif direction == "incoming":
- d['amount'] = float(d['amount'])
+ d["amount"] = float(d["amount"])
else:
raise ValueError("direction needs to be 'outgoing' or 'incoming'")
if wire_id:
@@ -292,10 +365,10 @@ def gen_cashflow_deals(form, session, wire_id=None):
yield cf
-@app.route('/wires/<int:wire_id>', methods=['GET', 'POST'])
-@app.route('/wires/', defaults={'wire_id': None}, methods=['GET', 'POST'])
+@app.route("/wires/<int:wire_id>", methods=["GET", "POST"])
+@app.route("/wires/", defaults={"wire_id": None}, methods=["GET", "POST"])
def wire_manage(wire_id):
- if request.method == 'POST':
+ if request.method == "POST":
wires = list(gen_cashflow_deals(request.form, db.session, wire_id))
try:
@@ -303,90 +376,99 @@ def wire_manage(wire_id):
except IntegrityError as e:
app.logger.error(e)
db.session.rollback()
- return render_template('wire_entry.html',
- strategies=CASH_STRAT.enums,
- currencies=CCY.enums,
- accounts=account_codes(),
- outgoing_wires=split_direction(wires, "outgoing"),
- incoming_wires=split_direction(wires, "incoming"),
- action=request.form.get('action'),
- trade_date=request.form.get('trade_date'))
+ return render_template(
+ "wire_entry.html",
+ strategies=CASH_STRAT.enums,
+ currencies=CCY.enums,
+ accounts=account_codes(),
+ outgoing_wires=split_direction(wires, "outgoing"),
+ incoming_wires=split_direction(wires, "incoming"),
+ action=request.form.get("action"),
+ trade_date=request.form.get("trade_date"),
+ )
else:
- if request.form.get('upload_globeop') == 'y':
+ if request.form.get("upload_globeop") == "y":
q = get_queue()
for wire in wires:
- q.rpush('wire_SERCGMAST', simple_serialize(wire))
- return redirect(url_for('list_trades', kind='wire'))
+ q.rpush("wire_SERCGMAST", simple_serialize(wire))
+ return redirect(url_for("list_trades", kind="wire"))
wire = CashFlowDeal() if wire_id is None else CashFlowDeal.query.get(wire_id)
- return render_template('wire_entry.html',
- strategies=CASH_STRAT.enums,
- currencies=CCY.enums,
- accounts=account_codes(),
- outgoing_wires=split_direction([wire], "outgoing") if wire_id else [],
- incoming_wires=split_direction([wire], "incoming") if wire_id else [],
- trade_date=wire.trade_date if wire_id else datetime.date.today(),
- action_url=url_for('wire_manage', wire_id=wire_id),
- action=wire.action if wire_id else None)
+ return render_template(
+ "wire_entry.html",
+ strategies=CASH_STRAT.enums,
+ currencies=CCY.enums,
+ accounts=account_codes(),
+ outgoing_wires=split_direction([wire], "outgoing") if wire_id else [],
+ incoming_wires=split_direction([wire], "incoming") if wire_id else [],
+ trade_date=wire.trade_date if wire_id else datetime.date.today(),
+ action_url=url_for("wire_manage", wire_id=wire_id),
+ action=wire.action if wire_id else None,
+ )
-@app.route('/trades/<kind>/<int:tradeid>', methods=['GET', 'POST'])
-@app.route('/trades/<kind>/', defaults={'tradeid': None},
- methods=['GET', 'POST'])
-@app.route('/trades/', defaults={'tradeid': None, 'kind': 'bond'},
- methods=['GET', 'POST'])
+@app.route("/trades/<kind>/<int:tradeid>", methods=["GET", "POST"])
+@app.route("/trades/<kind>/", defaults={"tradeid": None}, methods=["GET", "POST"])
+@app.route(
+ "/trades/", defaults={"tradeid": None, "kind": "bond"}, methods=["GET", "POST"]
+)
def trade_manage(tradeid, kind):
trade = get_trade(tradeid, kind)
form = _get_form(kind)()
form.cp_code.choices = form.cp_code.choices + list(cp_choices(kind))
- if kind == 'bond':
+ if kind == "bond":
old_ticket_name = trade.ticket
- if kind == 'capfloor':
+ if kind == "capfloor":
old_confirm = trade.trade_confirm
- if kind == 'cds':
+ if kind == "cds":
form.account_code.choices = fcm_accounts()
if form.validate_on_submit():
form.populate_obj(trade)
session = form.get_session()
if not tradeid:
session.add(trade)
- if kind == 'bond':
+ if kind == "bond":
save_ticket(trade, old_ticket_name)
- if kind == 'capfloor':
+ if kind == "capfloor":
save_confirm(trade, old_confirm)
try:
session.commit()
except IntegrityError as e:
app.logger.error(e)
session.rollback()
- return render_template('trade_entry.html', form=form,
- action_url=
- url_for('trade_manage', tradeid=tradeid, kind=kind))
+ return render_template(
+ "trade_entry.html",
+ form=form,
+ action_url=url_for("trade_manage", tradeid=tradeid, kind=kind),
+ )
else:
- if kind == 'cds':
- if trade.swap_type != 'CD_INDEX':
- trade.account_code = 'BAC'
+ if kind == "cds":
+ if trade.swap_type != "CD_INDEX":
+ trade.account_code = "BAC"
trade.cashaccount = trade.fcm_account.cash_account
session.commit()
buf = simple_serialize(trade, upload=form.upload_globeop.data)
q = get_queue()
q.rpush(f"{kind}_{form.fund.data}", buf)
- return redirect(url_for('list_trades', kind=kind))
+ return redirect(url_for("list_trades", kind=kind))
else:
if form.errors:
app.logger.error(form.errors)
form = get_form(trade, kind)
form.cp_code.choices = form.cp_code.choices + list(cp_choices(kind))
- if kind == 'cds':
+ if kind == "cds":
form.account_code.choices = list(fcm_accounts())
- return render_template('trade_entry.html', form=form,
- action_url=url_for('trade_manage', tradeid=tradeid, kind=kind))
+ return render_template(
+ "trade_entry.html",
+ form=form,
+ action_url=url_for("trade_manage", tradeid=tradeid, kind=kind),
+ )
-@app.route('/', defaults={'kind': 'bond'})
-@app.route('/<kind>')
+@app.route("/", defaults={"kind": "bond"})
+@app.route("/<kind>")
def list_trades(kind):
try:
Deal = get_deal(kind)
@@ -395,42 +477,47 @@ def list_trades(kind):
abort(404)
else:
trade_list = Deal.query.order_by(Deal.trade_date.desc(), Deal.id.desc())
- return render_template(f'{kind}_blotter.html', trades=trade_list.all())
+ return render_template(f"{kind}_blotter.html", trades=trade_list.all())
-@app.route('/tickets/<int:tradeid>')
+@app.route("/tickets/<int:tradeid>")
def download_ticket(tradeid):
trade = BondDeal.query.get(tradeid)
pdf = PdfFileMerger()
- pdf.append(os.path.join(app.config['TICKETS_FOLDER'], trade.ticket))
- pdf.append(os.path.join(app.config['CP_FOLDER'], trade.counterparty.instructions))
+ pdf.append(os.path.join(app.config["TICKETS_FOLDER"], trade.ticket))
+ pdf.append(os.path.join(app.config["CP_FOLDER"], trade.counterparty.instructions))
fh = BytesIO()
pdf.write(fh)
pdf.close()
fh.seek(0)
- return send_file(fh, mimetype='application/pdf')
+ return send_file(fh, mimetype="application/pdf")
+
-@app.route('/confirms/<int:tradeid>')
+@app.route("/confirms/<int:tradeid>")
def download_confirm(tradeid):
trade = CapFloorDeal.query.get(tradeid)
- return send_file(os.path.join(app.config['CONFIRMS_FOLDER'], trade.trade_confirm),
- mimetype='application/pdf')
+ return send_file(
+ os.path.join(app.config["CONFIRMS_FOLDER"], trade.trade_confirm),
+ mimetype="application/pdf",
+ )
-@app.route('/counterparties/<path:instr>', methods=['GET'])
-@app.route('/counterparties/', defaults={'instr': None}, methods=['GET'])
+@app.route("/counterparties/<path:instr>", methods=["GET"])
+@app.route("/counterparties/", defaults={"instr": None}, methods=["GET"])
def list_counterparties(instr):
if instr:
- return send_from_directory(filename=instr,
- directory=app.config['CP_FOLDER'],
- mimetype='application/pdf')
+ return send_from_directory(
+ filename=instr,
+ directory=app.config["CP_FOLDER"],
+ mimetype="application/pdf",
+ )
else:
cp_list = Counterparties.query.order_by(Counterparties.name)
- return render_template('counterparties.html', counterparties=cp_list.all())
+ return render_template("counterparties.html", counterparties=cp_list.all())
-@app.route('/edit_cp/<cpcode>', methods=['GET', 'POST'])
-@app.route('/edit_cp/', defaults={'cpcode': None}, methods=['GET', 'POST'])
+@app.route("/edit_cp/<cpcode>", methods=["GET", "POST"])
+@app.route("/edit_cp/", defaults={"cpcode": None}, methods=["GET", "POST"])
def edit_counterparty(cpcode):
if cpcode:
cp = Counterparties.query.get(cpcode)
@@ -448,34 +535,43 @@ def edit_counterparty(cpcode):
if not instructions.data:
cp.instructions = old_instructions
else:
- cp.instructions = cp.name + '.pdf'
- instructions.data.save(os.path.join(app.config['CP_FOLDER'],
- cp.instructions))
+ cp.instructions = cp.name + ".pdf"
+ instructions.data.save(
+ os.path.join(app.config["CP_FOLDER"], cp.instructions)
+ )
session.commit()
- return redirect(url_for('list_counterparties'))
+ return redirect(url_for("list_counterparties"))
else:
- return render_template('edit_cp.html', form=CounterpartyForm(obj=cp), code=cpcode)
+ return render_template(
+ "edit_cp.html", form=CounterpartyForm(obj=cp), code=cpcode
+ )
-@app.route('/_ajax', methods=['GET'])
+@app.route("/_ajax", methods=["GET"])
def get_bbg_id():
- bbg_id = request.args.get('bbg_id')
+ bbg_id = request.args.get("bbg_id")
try:
_, indextype, _, series, tenor = bbg_id.split()
except ValueError:
return "not a valid bloomberg description", 400
indextype = indextype[:2]
- tenor = tenor[:-1] + 'yr'
+ tenor = tenor[:-1] + "yr"
series = int(series[1:])
sqlstr1 = "SELECT * FROM index_redcode(%s::index_type, %s::smallint, %s)"
- sqlstr2 = ("SELECT maturity, coupon FROM index_maturity WHERE index=%s "
- "and series=%s and tenor=%s")
+ sqlstr2 = (
+ "SELECT maturity, coupon FROM index_maturity WHERE index=%s "
+ "and series=%s and tenor=%s"
+ )
db = get_db()
with db.cursor() as c:
c.execute(sqlstr1, (indextype, series, pd.datetime.today().date()))
(redcode,) = c.fetchone()
c.execute(sqlstr2, (indextype, series, tenor))
maturity, coupon = c.fetchone()
- return jsonify({'maturity': maturity.strftime('%Y-%m-%d'),
- 'redcode': redcode,
- 'coupon': coupon})
+ return jsonify(
+ {
+ "maturity": maturity.strftime("%Y-%m-%d"),
+ "redcode": redcode,
+ "coupon": coupon,
+ }
+ )
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-22 05:22:10 +0000